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Mean-square stability analysis of numerical schemes for stochastic differential systems

โœ Scribed by A. Tocino; M.J. Senosiain


Book ID
113511845
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
845 KB
Volume
236
Category
Article
ISSN
0377-0427

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โœ Norbert Hofmann ๐Ÿ“‚ Article ๐Ÿ“… 1995 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 310 KB

We consider numerical stability and convergence of weak schemes solving stochastic differential equations. A relatively strong notion of stability for a special type of test equations is proposed. These are stochastic differential equations with multiplicative noise. For explicit and implicit Euler